What camera priority mode should I use for HDR photos?

Question

I believe the best way to get HDR shots is by using the Av mode, so the depth of field is consistent across 2-3 images.

Should I be switching to manual mode and changing the shutter speed with a fixed aperture?

Answer

You should use the Aperture priority mode, and keep the aperture the same for all shots, otherwise you could get some odd focus differences between shots. The only downside is if you have to go low on your shutter speed and pick up motion blur.

The easiest thing to do is use the camera settings that do multiple shots (usually -2,0, +2) in rapid succession, in which case you don't need to worry much as the shots go off in seconds.

Check more discussion of this question.